Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0392 |
| Annualized Std Dev | 0.2328 |
| Annualized Sharpe (Rf=0%) | -0.1682 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3582.0000 |
| NAs | 1.0000 |
| Minimum | -0.1339 |
| Quartile 1 | -0.0034 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0037 |
| Maximum | 0.4039 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0147 |
| Skewness | 5.4777 |
| Kurtosis | 178.2718 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0097 |
| Gain Deviation | 0.0143 |
| Loss Deviation | 0.0123 |
| Downside Deviation (MAR=210%) | 0.0140 |
| Downside Deviation (Rf=0%) | 0.0097 |
| Downside Deviation (0%) | 0.0097 |
| Maximum Drawdown | 0.8022 |
| Historical VaR (95%) | -0.0144 |
| Historical ES (95%) | -0.0331 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | -0.0814 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-12-27 | 2009-03-09 | NA | -0.8022 | 3582 | 552 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | NA |
| 2007 | 0 | 0.2 | 0.9 | 0 | 1.2 | 0.4 | -0.6 | 0.1 | 0.9 | -2 | 3.3 | 2.2 | 6.5 |
| 2008 | 1.3 | -0.4 | 1.3 | 0.9 | -0.2 | -1.1 | 0.3 | 0.1 | -0.4 | 2.9 | -6.8 | 5 | 2.4 |
| 2009 | -3.3 | -3.6 | 2.8 | 4.6 | 1.2 | 1 | 1.5 | -2.6 | -2.3 | -2.1 | 0.4 | 0.9 | -1.8 |
| 2010 | 0.9 | 0.5 | 1.1 | -0.3 | -1.1 | 0.6 | 0.3 | 0.9 | 0.2 | 0.6 | 0.2 | 0.4 | 4.4 |
| 2011 | 0.1 | -0.7 | 0.3 | 0.1 | 0.2 | 0.2 | 0.3 | -0.4 | -1.9 | -0.9 | -1.2 | -0.1 | -4 |
| 2012 | 0.2 | 0.3 | -0.9 | -0.2 | -0.8 | -0.5 | 0.7 | 0.6 | 0.2 | 0.7 | 0.5 | -0.1 | 0.6 |
| 2013 | 0.4 | 0.1 | -0.1 | -0.2 | -1.4 | -0.2 | -0.9 | 0.4 | -1.1 | 0 | 0 | 0 | -3 |
| 2014 | 0 | 0.5 | 0.3 | 0.1 | -0.1 | 0 | 0.1 | 0.4 | 0 | 0.1 | -0.5 | -1.1 | -0.2 |
| 2015 | -0.1 | 0.1 | -0.3 | -0.4 | 0.2 | -0.1 | 0.5 | -0.4 | -0.2 | 0.2 | 1.3 | 0.2 | 0.9 |
| 2016 | -0.1 | 1.3 | 0.4 | -0.5 | -0.2 | 0.8 | -0.2 | -1.1 | 0.2 | -0.3 | -0.3 | 0.6 | 0.7 |
| 2017 | 0 | -1.6 | 0.3 | 0 | 0 | 0.7 | -0.1 | 0.3 | 0.4 | 0.5 | 0.2 | 0.2 | 1 |
| 2018 | -0.3 | -0.2 | 0.5 | -0.2 | 0.1 | 0.2 | -0.2 | -0.1 | 1.1 | 0.6 | 0.4 | -0.1 | 1.9 |
| 2019 | -0.1 | 0.2 | 0.2 | 0.6 | -0.2 | 0.2 | 0.6 | 0.1 | -0.4 | 0.1 | 0 | 0.1 | 1.4 |
| 2020 | 0.7 | -1.5 | -0.8 | 0.5 | 3 | 1.1 | 0.9 | 0.5 | -0.2 | 0.2 | -0.5 | -0.4 | 3.6 |
| 2021 | 0 | 1.1 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-12-22 25 SPY 141. -0.0061 -0.0112 -0.00120 0.0624 0.111 0.283 0.224 GLD 61.6 0.0044 0.0107
2 2006-12-26 25.1 SPY 142. 0.0059 -0.0026 0.0088 0.0599 0.117 0.292 0.234 GLD 62.0 0.0054 0.0154
3 2006-12-27 25.0 SPY 143. 0.0066 0.002 0.0295 0.0656 0.136 0.299 0.235 GLD 62.2 0.0039 0.0068
4 2006-12-28 25.0 SPY 142. -0.0021 0.0005 0.0229 0.0637 0.131 0.279 0.225 GLD 62.9 0.0109 0.0208
5 2006-12-29 25.0 SPY 142. -0.0041 0 0.0082 0.0602 0.131 0.274 0.221 GLD 63.2 0.0049 0.0298
6 2007-01-03 25 SPY 141. -0.0018 0.0044 0.006 0.0623 0.135 0.270 0.237 GLD 62.3 -0.0147 0.0102
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
